An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with common noise is proved to converge strongly at rate δ^(1/2) in finite and infinite horizons.
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The adaptive EM schemes for McKean-Vlasov SDEs with common noise in finite and infinite horizons
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with common noise is proved to converge strongly at rate δ^(1/2) in finite and infinite horizons.